The Informativeness of Current Return about Future Earnings and Extra-Legal Institutions: International Evidence

超法律制度影響本期股票報酬率：對未來公司盈餘資訊效果之跨國實證研究

本文研究超法律制度如何影響當期股價報酬率所蘊含之關於未來盈餘的資訊結果。本文樣本係由1989-1999 期間8 個東亞及11 個西歐國家之上市公司所組成，這些國家具有不同的超法律制度。我們發現當期報酬率對未來盈餘的資訊效果如下 : (1) 對於有好消息的企業，此資訊效果隨產品市場的競爭程度增加而減弱；(2) 對於有壞消息的企業，此資訊效果隨著產品市場競爭程度增加而增加；(3) 上述效果在監督越強的國家則越為顯著。我們的多元回歸結果進一步顯示，一個國家層面的超法律和法律制度彼此相輔相成。本研究對於超法律制度在公司治理中的作用提供了實證支持。我們認為，由於政治或歷史原因，要改變一個國家的法律制度，例如法律傳統、司法制度或相關法令等等，成本往往非常高昂，而改進超法律制度則可能讓改革控制在一定可行的範圍之內，其相對效果亦呈顯著 。

This study examines the impact of extra-legal institutional factors on the informativeness of current return about future earnings. Using a sample of firm-level observations during the period from 1989 to 1999 in eight East Asian and eleven Western European countries that exhibit different levels of extra-legal institutions, we find evidence that the informativeness of current return about future earnings: (1) decreases with stronger product market competition for good news firms, (2) increases with stronger product market competition for bad news firms; and (3) is more pronounced in countries where there is strong pressure from public opinion. Furthermore, multiple regression results show that country-specific extralegal and legal institutional features add the incremental contribution above and beyond the others. This study provides empirical support for the role of extra-legal institutions in corporate governance. While changing legal institutions, such as the legal tradition, the judicial system, or the rule of law, may be costly for historical or political reasons, or both, improving the extra-legal institutions is likely to be well within the range of feasible reforms.